Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3673 |
| Annualized Std Dev | 0.4424 |
| Annualized Sharpe (Rf=0%) | -0.8302 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2933.0000 |
| NAs | 1.0000 |
| Minimum | -0.2512 |
| Quartile 1 | -0.0149 |
| Median | -0.0024 |
| Arithmetic Mean | -0.0014 |
| Geometric Mean | -0.0018 |
| Quartile 3 | 0.0109 |
| Maximum | 0.2158 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0024 |
| UCL Mean (0.95) | -0.0004 |
| Variance | 0.0008 |
| Stdev | 0.0279 |
| Skewness | 0.0172 |
| Kurtosis | 7.9840 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0193 |
| Gain Deviation | 0.0213 |
| Loss Deviation | 0.0195 |
| Downside Deviation (MAR=210%) | 0.0248 |
| Downside Deviation (Rf=0%) | 0.0200 |
| Downside Deviation (0%) | 0.0200 |
| Maximum Drawdown | 0.9984 |
| Historical VaR (95%) | -0.0414 |
| Historical ES (95%) | -0.0648 |
| Modified VaR (95%) | -0.0426 |
| Modified ES (95%) | -0.0606 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-17 | NA | -0.9984 | 2501 | 2498 | NA |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.3322 | 17 | 6 | 11 |
| 2008-07-16 | 2008-09-08 | 2008-10-03 | -0.2633 | 57 | 38 | 19 |
| 2008-03-18 | 2008-05-15 | 2008-07-02 | -0.2421 | 75 | 42 | 33 |
| 2008-10-13 | 2008-10-13 | 2008-10-15 | -0.1638 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -1.2 | -0.5 | -0.9 | -1.3 | -0.1 | -0.2 | -3.5 | -1.1 | 6 | -2.4 | 1.2 | -4.3 |
| 2008 | -3.2 | 5.4 | -7.4 | -5.6 | 0.6 | -0.1 | 1 | 1.8 | 1 | -6 | 15.7 | -4.3 | -3.1 |
| 2009 | 5.7 | -0.5 | -3.2 | 0.7 | -7.9 | -0.4 | 0.4 | 3.2 | 3.7 | 4.8 | -2.7 | 2.1 | 5.2 |
| 2010 | -2 | -2.8 | -1.2 | 3.5 | 2.6 | -0.8 | -1.1 | -6.4 | -0.3 | 0.1 | -3.4 | 0.5 | -11.1 |
| 2011 | -3.3 | 3.3 | -1.2 | 0.1 | 3.9 | -3.5 | 1.5 | 2.3 | 4.3 | 3.8 | -0.3 | 0.7 | 11.8 |
| 2012 | -1.7 | -0.8 | -0.8 | -1 | 5.4 | -4.2 | 1.7 | -0.8 | -1.8 | -1.7 | -0.9 | -1.4 | -8.1 |
| 2013 | -1.1 | -0.8 | 0.7 | 0 | 0.2 | -0.9 | -0.6 | 1.6 | -1.4 | 0.6 | -0.8 | -0.6 | -3 |
| 2014 | 1.6 | -0.3 | -1.8 | -1.2 | -0.2 | -2.2 | 0.1 | -0.2 | 3.9 | -2.7 | -1.9 | -1.3 | -6.2 |
| 2015 | 0.2 | -0.9 | 3.6 | -2.2 | 0 | -1.4 | -5.6 | 5 | 5.4 | -1 | 1.6 | -1.5 | 2.7 |
| 2016 | -6.5 | -1.3 | 0.7 | 0.4 | -0.6 | -1.9 | 0.4 | -0.2 | -0.8 | -1.2 | -3 | 1.1 | -12.3 |
| 2017 | -0.9 | -0.6 | -0.8 | -1.8 | -6.9 | 1.1 | -0.1 | 2.2 | -0.7 | -1.5 | 1.9 | 0.5 | -7.6 |
| 2018 | -4.2 | -4.8 | 6.1 | -3.1 | -1.4 | 1.3 | 0.3 | -1.5 | -1.4 | -4 | -2 | -1.3 | -15.1 |
| 2019 | 2.6 | -1 | -2.2 | 1.3 | 2.3 | -1.7 | 2 | 0.1 | 1.1 | -1.3 | 0.9 | 0.1 | 4.1 |
| 2020 | -1 | 3.3 | 8.8 | 7.4 | -1.5 | -4.3 | -1 | -2.3 | -3 | 5.9 | -2.5 | -0.1 | 9.1 |
| 2021 | -3.2 | -3.2 | -1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -8.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 2193. SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-05 2188. SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
3 2007-02-06 2189. SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
4 2007-02-07 2177. SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
5 2007-02-08 2169. SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
6 2007-02-09 2167. SPY 144. -7.40e-3 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 0.0092 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
